Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0928 |
| Annualized Std Dev | 0.2645 |
| Annualized Sharpe (Rf=0%) | -0.3510 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3519.0000 |
| NAs | 1.0000 |
| Minimum | -0.1678 |
| Quartile 1 | -0.0058 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0002 |
| Geometric Mean | -0.0004 |
| Quartile 3 | 0.0065 |
| Maximum | 0.1494 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0008 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0003 |
| Stdev | 0.0167 |
| Skewness | -0.9088 |
| Kurtosis | 19.2375 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0126 |
| Gain Deviation | 0.0120 |
| Loss Deviation | 0.0153 |
| Downside Deviation (MAR=210%) | 0.0169 |
| Downside Deviation (Rf=0%) | 0.0127 |
| Downside Deviation (0%) | 0.0127 |
| Maximum Drawdown | 0.8556 |
| Historical VaR (95%) | -0.0237 |
| Historical ES (95%) | -0.0433 |
| Modified VaR (95%) | -0.0252 |
| Modified ES (95%) | -0.0448 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2020-03-23 | NA | -0.8556 | 3474 | 3223 | NA |
| 2007-04-30 | 2007-05-01 | 2007-06-04 | -0.0253 | 25 | 2 | 23 |
| 2007-04-17 | 2007-04-17 | 2007-04-20 | -0.0029 | 4 | 1 | 3 |
| 2007-04-23 | 2007-04-23 | 2007-04-25 | -0.0015 | 3 | 1 | 2 |
| 2007-04-03 | 2007-04-03 | 2007-04-05 | -0.0005 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | 0 | -0.4 | 1 | 1.1 | -0.4 | 1 | 1 | -0.4 | 1.3 | 1.9 | 6.2 |
| 2008 | 2.3 | -1.8 | 3.7 | 1.7 | 0.5 | 1.6 | 0.7 | 0.9 | 5.2 | 6.5 | -9 | 3.7 | 16 |
| 2009 | 0 | -0.5 | 1.1 | 2.1 | 3 | 1.9 | -0.1 | -2.4 | -0.2 | -2 | 2 | 0.5 | 5.5 |
| 2010 | 1 | 1.5 | 2.2 | -2 | -1 | -2.7 | 2.6 | 1.1 | 0.7 | 0 | 2.8 | 0.2 | 6.4 |
| 2011 | 1.3 | -0.1 | 0.6 | 0.5 | -0.1 | 1.3 | 1.7 | -0.2 | -3.2 | -1.6 | -0.9 | 0.3 | -0.4 |
| 2012 | 1.8 | 1.8 | 0.8 | 0.4 | -1.5 | 1.7 | 0.6 | 0.8 | 0.5 | 3.4 | -0.6 | 0.4 | 10.4 |
| 2013 | 0.9 | 0.6 | 0.1 | 0.3 | -1.1 | 2.5 | 0.7 | -0.4 | 1.2 | 0.4 | 0.5 | 0.8 | 6.7 |
| 2014 | -0.7 | -0.1 | 0.1 | 0.4 | 1.3 | 0.7 | -1.3 | -0.2 | -0.5 | 1 | -0.7 | 1.2 | 1.1 |
| 2015 | -1.2 | 0.4 | -0.5 | 0.1 | -0.3 | 0.6 | -0.1 | -1.7 | 0.2 | 0.8 | 0.7 | 0 | -1.2 |
| 2016 | -0.3 | 1.5 | 0.3 | 0.3 | 0.7 | 1.2 | -0.2 | -0.2 | 0.2 | -0.9 | 0 | 0.2 | 2.8 |
| 2017 | 1.3 | 0.2 | 0.5 | 0.3 | -1.5 | -0.2 | 0.5 | 0.8 | -0.2 | -0.2 | -1 | 0.2 | 0.7 |
| 2018 | 0 | -0.7 | 1.2 | -0.3 | 0.7 | -0.5 | 0 | 0.2 | 0.8 | 1 | -0.4 | -1.3 | 0.6 |
| 2019 | 1 | 0.8 | 0.6 | 0.6 | 0 | 0.4 | -0.2 | 1.1 | -0.6 | -0.9 | -0.7 | 0.2 | 2.2 |
| 2020 | -0.5 | -2.7 | -3.8 | -2.5 | 0 | 1.4 | -0.9 | 0.2 | 1.2 | -2.2 | 1.8 | 0.4 | -7.4 |
| 2021 | 0.8 | 1.7 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.3 |
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Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
